This BBC article in 1999 on the link between low cholesterol and depression and suicide is about a large study done by the Finnish. Their twist on it, which is that despite a similar diet by the study participants, those who reported that they felt depressed, had lower cholesterol levels. From what I understand, the lower serotonin levels in the depressed person is somehow linked to lower cholesterol levels in that person.
If this is the case, imagine if you are prone to depression, then you eat a low fat diet with no dietary form of cholesterol (a low fat vegan diet), your depression would likely get worse.
If you are lowering cholesterol because you are depressed and serotonin is low, then one could make the link that Vitamin D levels would be low, since cholesterol is the basic building block of vitamin D. This article on vitamin D and mental illness at the Vitamin D council site is interesting.
The American Journal of Psychiatry indicates that "Several studies suggest that a low cholesterol concentration is associated with a greater than normal risk of mortality from suicide."
If you are vegan and depressed, you could try adding a tablespoon or two of raw, cold processed coconut fat to your diet. I did and though I wasn't particularly depressed, I feel so much better. My hands and feet are warm now (they were cold since moving North), and I feel more awake and more energized.